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Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - Centre for Microdata Methods and Practice (CEMMAP) - 2012

In this paper we consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include, among others, the Hansen-Jagannathan (HJ) variances for asset portfolio returns, and the set of...

Persistent link: https://www.econbiz.de/10010604307

A nonparametric test of exogeneity

Blundell, Richard; Horowitz, Joel - Centre for Microdata Methods and Practice (CEMMAP) - 2004

This paper is concerned with inference about a function g that is identified by a conditional moment restriction involving instrumental variables. The function is nonparametric. It satisfies mild regularity conditions but is otherwise unknown. The paper presents test of the hypothesis that g is...

Persistent link: https://www.econbiz.de/10005509559

Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative

Horowitz, Joel; Sokbae 'Simon' Lee - Centre for Microdata Methods and Practice (CEMMAP) - 2007

This paper is concerned with inference about a function g that is identified by a conditional quantile restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test...

Persistent link: https://www.econbiz.de/10005547926

Testing for a general class of functional inequalities

Sokbae 'Simon' Lee; Song, Kyungchul; Whang, Yoon-Jae - Centre for Microdata Methods and Practice (CEMMAP) - 2014

bootstrap method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with … estimated "contact sets". We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over …. Our bootstrap test is shown to exhibit good power properties in Monte Carlo experiments, and we provide a general form of …

Persistent link: https://www.econbiz.de/10011094570

Identification and shape restrictions in nonparametric instrumental variables estimation

Freyberger, Joachim; Horowitz, Joel - Centre for Microdata Methods and Practice (CEMMAP) - 2013

using the bootstrap. An empirical application illustrates the usefulness of shape restrictions for carrying out …

Persistent link: https://www.econbiz.de/10010827553